Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0277 |
| Annualized Std Dev | 0.1146 |
| Annualized Sharpe (Rf=0%) | -0.2418 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.0669 |
| Quartile 1 | -0.0032 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0032 |
| Maximum | 0.0868 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0001 |
| Stdev | 0.0072 |
| Skewness | -0.2504 |
| Kurtosis | 10.5761 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0052 |
| Gain Deviation | 0.0050 |
| Loss Deviation | 0.0056 |
| Downside Deviation (MAR=210%) | 0.0109 |
| Downside Deviation (Rf=0%) | 0.0053 |
| Downside Deviation (0%) | 0.0053 |
| Maximum Drawdown | 0.5527 |
| Historical VaR (95%) | -0.0106 |
| Historical ES (95%) | -0.0169 |
| Modified VaR (95%) | -0.0109 |
| Modified ES (95%) | -0.0177 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-17 | 2020-03-18 | NA | -0.5527 | 4472 | 4218 | NA |
| 1999-02-24 | 1999-12-30 | 2001-02-12 | -0.1364 | 498 | 216 | 282 |
| 2002-09-11 | 2002-10-21 | 2003-03-03 | -0.0947 | 119 | 29 | 90 |
| 2001-10-03 | 2001-12-17 | 2002-05-28 | -0.0686 | 163 | 53 | 110 |
| 2001-09-18 | 2001-09-20 | 2001-10-02 | -0.0544 | 11 | 3 | 8 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 2.1 | 2.1 | 5.3 |
| 2000 | 1 | 0 | 0 | 0 | 1 | 0 | -1 | 0 | 0 | 0 | 2 | 0 | 3 |
| 2001 | 1.2 | 1.3 | -0.1 | -0.1 | 0 | 1.5 | 1 | 0.1 | 1 | 0.1 | 0.7 | 0.8 | 7.8 |
| 2002 | 0 | 0.3 | 0 | 0.9 | 0 | 0.8 | 0.3 | -0.8 | 0.3 | 0.7 | -0.1 | 1.9 | 4.2 |
| 2003 | -0.3 | 0.7 | -1.2 | 0.6 | 0.7 | -0.5 | -0.1 | -0.4 | 0.6 | 0.1 | 0 | 0 | 0 |
| 2004 | 0.1 | 0.1 | -0.4 | 0.2 | -0.5 | 0.2 | 0.2 | -0.2 | -0.6 | -0.2 | -0.5 | 0.3 | -1.2 |
| 2005 | -0.2 | 0 | -0.2 | 0 | 0.2 | 0.2 | -0.3 | -0.3 | 0.8 | -0.3 | -0.5 | -0.3 | -1 |
| 2006 | -0.3 | 0.2 | -0.2 | 0.5 | -0.2 | 0.8 | 0.7 | 0.2 | -0.2 | 0.2 | 0.3 | -0.3 | 1.7 |
| 2007 | -0.3 | 0.3 | 0.5 | 0.5 | -0.7 | 0.5 | 0 | 0.2 | -0.2 | -0.8 | 0.2 | -0.2 | 0 |
| 2008 | -0.2 | -0.2 | 0.5 | 0.2 | 1.1 | -0.2 | 0.5 | 0.2 | 2.4 | 1.7 | 0.3 | -0.2 | 6.3 |
| 2009 | 0 | 1.3 | -0.5 | 0.5 | 0.3 | 0 | 0.2 | 0.6 | -0.9 | -2.2 | 0.7 | 0.1 | 0.1 |
| 2010 | 0 | 0.1 | -0.1 | 0.6 | 0 | -0.4 | -0.1 | 0.1 | 1 | 0 | 0.3 | 0 | 1.5 |
| 2011 | -0.2 | 0.3 | -1 | 0.5 | 0.6 | 2.5 | 2.9 | -0.5 | -1.8 | 1.1 | -0.2 | 0 | 4.4 |
| 2012 | -0.6 | 0.9 | -1.8 | 1.1 | -1.4 | 0.9 | -0.5 | -0.2 | 0.2 | 1.7 | 0.9 | 0.8 | 2 |
| 2013 | 0 | -0.8 | 0.5 | 0 | 0.4 | -2.1 | -0.2 | 0.4 | 0 | -0.9 | 0.2 | -0.2 | -2.8 |
| 2014 | 1.1 | -0.4 | 0.4 | -0.2 | 0 | 0.6 | 0.4 | 0.2 | 0.8 | 0.6 | 0 | -0.8 | 2.7 |
| 2015 | 0.6 | -0.4 | 0 | 0.2 | -0.2 | 0.9 | 0.9 | 0.9 | -0.2 | 0.4 | 0.4 | 0.2 | 3.8 |
| 2016 | 0.2 | 0.7 | 0.7 | 0 | -0.2 | 0 | 0 | -0.4 | 0.2 | -0.2 | 0.3 | 0.9 | 2.1 |
| 2017 | 0 | 0 | 0.7 | 0.1 | 0.9 | 0.9 | 0.9 | 0.5 | 0.5 | -0.5 | 0.7 | 0.2 | 5.1 |
| 2018 | 1 | 0.3 | 0.3 | 0.1 | 0.5 | 0.3 | -1 | 0.3 | 0.8 | -0.5 | 0 | -0.3 | 1.6 |
| 2019 | -1.3 | 0 | -0.3 | 0.8 | 0 | 0.3 | -0.5 | 0.3 | -0.3 | -0.3 | -0.5 | 0 | -1.8 |
| 2020 | 0 | -2.4 | 0.3 | 1.6 | 0.8 | 1.4 | 0 | 0.8 | 0 | 0 | 1.1 | 0.5 | 4 |
| 2021 | -0.5 | 0 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
